Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1016
Annualized Std Dev 0.2429
Annualized Sharpe (Rf=0%) 0.4185

Row

Daily Return Statistics

Close
Observations 3488.0000
NAs 1.0000
Minimum -0.1156
Quartile 1 -0.0062
Median 0.0009
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0079
Maximum 0.1002
SE Mean 0.0003
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0153
Skewness -0.4505
Kurtosis 7.6882

Downside Risk

Close
Semi Deviation 0.0112
Gain Deviation 0.0105
Loss Deviation 0.0122
Downside Deviation (MAR=210%) 0.0156
Downside Deviation (Rf=0%) 0.0110
Downside Deviation (0%) 0.0110
Maximum Drawdown 0.5309
Historical VaR (95%) -0.0228
Historical ES (95%) -0.0369
Modified VaR (95%) -0.0242
Modified ES (95%) -0.0477
From Trough To Depth Length To Trough Recovery
2008-06-06 2009-03-09 2012-09-13 -0.5309 1078 190 888
2020-02-20 2020-03-23 2020-10-09 -0.3660 163 23 140
2014-06-23 2015-09-28 2016-04-26 -0.2313 465 320 145
2018-09-21 2018-12-24 2019-02-25 -0.1969 106 65 41
2007-10-10 2008-01-23 2008-05-28 -0.1913 159 72 87

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA 0.8 -0.3 0.6 1.3 1 -2.4 -0.1 -0.4 0.4
2008 3.4 -2.3 3.1 1.9 0.1 -0.1 -0.7 -0.9 -2.5 3.4 -11.4 2.5 -4.5
2009 -3.3 0.7 0.8 0.2 3.6 1.2 0.2 -1.8 -3.2 -2.7 2.1 -0.7 -3
2010 1.3 1.7 1.3 -2.1 -2.8 -0.4 -0.6 3.6 0.8 -1.1 2.1 -0.6 2.9
2011 2.3 -1.8 0.5 0 -3.2 1.7 -1.1 -2.3 -2.3 -3 -1.1 -0.3 -10.2
2012 1.8 0.6 0.1 0.4 -2.4 2.6 -0.5 0 -0.6 2.1 -0.1 1.7 5.9
2013 1 -0.3 -2 -1.7 -0.7 1.1 1.4 -1.4 0.4 0.1 0 0.1 -2.1
2014 -0.9 0.2 0.5 0.1 0.3 1.1 -0.5 0.5 -1.6 0.9 -1.4 -0.9 -1.9
2015 -1.5 -0.2 0.3 0.1 0.1 0 0.6 -3.2 -0.7 0.6 -0.2 -1.4 -5.3
2016 0 2 0.5 0.2 0.7 0.3 -0.6 -0.1 1.1 -1.5 -0.2 -0.7 1.9
2017 -0.1 2 0.5 -0.5 1.3 0.5 0 0.1 -0.1 -0.2 -1.3 -0.3 1.7
2018 0.6 -0.9 1.8 0 0.6 0.5 -1.3 0 -0.6 1.6 1.4 0.9 4.7
2019 -0.5 0.3 1 -0.7 -0.3 0.4 -1.6 0.4 -2 0.9 -0.2 -0.1 -2.5
2020 -2.4 -2.7 -6.9 -2.6 -0.1 -0.6 -0.6 1.2 0.3 -0.8 0.9 0.5 -13.2
2021 1.7 1.9 -0.2 NA NA NA NA NA NA NA NA NA 3.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-05-11  20.2 SPY    151.  8.60e-3 -0.0004    0.0429   0.0481    0.138    0.386    0.400 GLD    66.4  0.0068  -0.0255
2 2007-05-14  20.1 SPY    151. -2.20e-3 -0.0028    0.0359   0.0494    0.150    0.372    0.424 GLD    66.3 -0.0026  -0.0289
3 2007-05-15  20.0 SPY    151.  3.00e-4 -0.00120   0.0264   0.0409    0.165    0.363    0.396 GLD    66.5  0.0039  -0.0197
4 2007-05-16  20.1 SPY    152.  6.80e-3  0.00290   0.0307   0.0411    0.171    0.378    0.375 GLD    65.6 -0.0141  -0.0274
5 2007-05-17  20.0 SPY    151. -2.00e-3  0.0115    0.0274   0.0377    0.170    0.375    0.378 GLD    65.1 -0.0082  -0.0142
6 2007-05-18  20.3 SPY    153.  8.70e-3  0.0117    0.0366   0.0473    0.203    0.399    0.383 GLD    65.5  0.0071  -0.014 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart